I have some non-Gaussian distributed variable and I need to check if there are significant differences between the values of this variable in 5 different groups.
I have performed Kruskal-Wallis one-way analysis of variance (which came up significant) and after that I had to check which groups were significantly different. Since the groups are kind of sorted (the values of the variable in the first group are supposed to be lower than the values of the variable in the second group which are supposed to be lower than the values of the variable in the third group and so on) I only performed 4 tests:
Group 1 vs Group 2 Group 2 vs Group 3 Group 3 vs Group 4 Group 4 vs Group 5
I have performed this analysis with two different methods. I started by using Dunn's Multiple Comparison Test but nothing came up significant. On the other hand if I use Mann-Whitney test and correct for the number of tests (4) using Bonferroni, 3 tests come up significant.
What does it mean? Which results should I trust?